Simple, Fast and Flexible Pricing of Asian Options

By Tim W. Klassen. 2001

61 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c9c85936ee1b865e73d01c01fb85ab19a68f7ef1

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Marc J. Goovaerts
2. Jan Dhaene
3. J. Liinev
4. Michèle Vanmaele
5. Griselda Deelstra
6. Nengjiu Ju
7. Michel Denuit
8. Rob Kaas

In Finance

1. Jan Dhaene
2. Marc J. Goovaerts
3. Michèle Vanmaele
4. Griselda Deelstra
5. J. Liinev
6. Nengjiu Ju
7. Michel Denuit
8. Rob Kaas

Citations in the corpus

• Pricing Asian and basket options via Taylor expansion (2002, background): “The cumulants are given in terms of moments (see 3.39 in Kendall and Stuart 1977.).”
• Bounds for the price of discrete arithmetic Asian options (2006, methodology): “As opposed to options on geometric average, the density function for the arithmetic average is not lognormal and has no explicit representation.”